Collateral Quantity or Nominal Amount

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Collateral Quantity or Nominal Amount

Field 2.83 | Matching Date: 2020-04-01 | Tolerance: None | Agent Lender Data Provision: Yes

Status: Finalised Last Updated: 26/04/2021

Field 2.83 | Matching Date: 2020-04-01 | Tolerance: None | Agent Lender Data Provision: Yes

Description:

Quantity or nominal amount of the security or commodity used as collateral. In the case of bond a total nominal amount should be reported in this field (number of bonds multiplied by the face value).

Best Practice:
If Field 2.75 (Type of Collateral Component) is populated with "SECU" or "COMM", a value (x18 numerical characters including up to x5 decimals) shall be provided, else it should be left blank.

When reporting fields 2.76 (Cash collateral amount), 2.83 (Collateral quantity or nominal amount) and 2.88 (Collateral market value) across NEWT/MODI/CORR follow the below population logic:

a. When populating field 1.9 (Counterparty Side) as GIVE populate 2.76, 2.83 and 2.88 with a (negative) -/ve signage

b. When populating field 1.9 (Counterparty Side) as TAKE DO NOT populate 2.76, 2.83 and 2.88 with a (positive) +/ve signage – by not pre-fixing a positive signage on a TAKE flow this assumes a positive signage

i. By following a and b above this should not just aid passing the trade validation rules and avoiding a NACK, this will also make the reconciliation more efficient by always ensuring a GIVE as a negative and TAKE as a positive are reported.

ii. This best practice should cover SBL, Repo and BSB products.

SLEB Example (all figures are purely examples, the purpose of the table is to denote the signages):

The aim of this Best Practice:

• To create a best practice for fields 2.76 (Cash collateral amount), 2.83 (Collateral quantity or nominal amount) and 2.88 (Collateral market value) covering NEWT/MODI/CORR.

• To ensure that the suggested best practice covers both the FCA and the ESMA TVR’s – trade validation rules –taking into consideration default language, example from the FCA TVR such as the absence of a sign will be interpreted as positive.

• It is understood that field 1.9 (Counterparty Side) is not applicable on a COLU message, therefore this best practice is also to address this observation too.

• To be aware how today the -/ve and +/ve signage across these fields are used and how this works alongside the schema and also thinking about the reconciliation process by the Trade Repository.

22. Regulation (EU) 2015/2365 of the European Parliament and of the Council of 25 November 2015 on transparency of securities financing transactions and of reuse and amending Regulation (EU) No 648/2012 (OJ L 337, 23.12.2015, p. 1–34).

23. On occasion these structured trades may be referred to as ‘fixed cash pool’ transactions, to refer to the fact that the associated cash collateral is fixed instead of being varied to maintain margin like in ordinary ‘cash pool’ transactions.

For further information see here. (SFTR-103)